KRİPTO PARALAR, COVID-19 PANDEMİSİ VE FİNANSAL BALONLAR: İLK BEŞ DİJİTAL VARLIK ÖRNEĞİ

Öz

Bu çalışma, 2 Ocak 2020 ve 2 Ocak 2021 arasındaki dönemi kapsayan COVID-19 pandemisindeki kapanış seviyesinin günlük verilerini kullanarak ilk beş kripto para biriminin (Bitcoin, Ethereum, Ripple, Stellar ve Tether) fiyatlarındaki balon davranışını araştırmaktadır. Seçilen kripto para birimlerinin fiyatlarındaki balon davranışını test etmek için kullanılan teknik iki farklı yöntem ile araştırılmaktadır. Bu yöntemler birden çok balon dönemini belirlemek için Eküs Genişletilmiş Dickey-Fuller (Supremum Augmented Dickey-Fuller-SADF) (Phillips et al., 2011) ve Genelleştirilmiş Eküs Genişletilmiş Dickey-Fuller (Generalized Supremum Augmented Dickey-Fuller-GSADF) (Phillips et al., 2015) tarafından oluşturulan test istatistiklerinin kapsamaktadır. Elde edilen ampirik sonuçlar artan finansal istikrarsızlık nedeniyle Tether fiyatları dışında dijital varlık piyasasında potansiyel bir krizin ortaya çıktığını Bitcoin, Ethereum, Ripple ve Stellar fiyatlarında tekrar eden ve ortak bir balon davranışı çerçevesinde ortaya koymaktadır.

Anahtar Kelimeler

• Kripto Paralar
• Balon Davranışı
• COVID-19
• Finansal İstikrarsızlık
• Özyinelemeli Sağ-Kuyruk Testi

CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS

Abstract

This study explores the bubble behavior in the prices of top five cryptocurrencies (i.e., Bitcoin, Ethereum, Ripple, Stellar, and Tether) using daily data of the closing level at the COVID-19 pandemic, covering the period from January 2, 2020 to January 2, 2021. The testing procedure of the bubble behavior in selected cryptocurrencies prices is investigated by two methodologies. Those covers the test statistics originated by the Supremum Augmented Dickey-Fuller (SADF) (Phillips et al., 2011) and Generalized Supremum Augmented Dickey-Fuller (GSADF) (Phillips et al., 2015) to define several bubble periods. The empirical results emphasize that bubble behavior is not a diverse and stable feature of Bitcoin, Ethereum, Ripple, and Stellar prices, except the Tether prices, which point out the emergence of a potential crisis in the digital assets market through an increasing degree of financial instability.

Keywords

• Cryptocurrencies
• Bubble Behavior
• COVID-19
• Financial Instability
• Recursive Right-Tailed Tests

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